CSFB updates credit portfolio risk measurement product
RISK MANAGEMENT | CSFB’S EQUITY AND DEBT OFFERING FOR HEDGE FUNDS
NEW YORK -- Investment bank Credit Suisse First Boston has launched an updated version of its risk measurement tool for credit portfolio managers, PortfolioRisk+ 1.5. The new version features an expected shortfall measure of credit risk and an enhanced tail probability formula for better risk approximations across credit distributions. The system uses forward-looking credit spread distributions from CSFB’s credit underlying securities model, which enables quantitative analysis of individual
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Waters Wavelength
After Refinitiv deal, LSEG Labs builds machine-learning market impact tool
Geoff Horrell talks about the Lab’s innovation strategy after the Refinitiv acquisition, deep learning, and the ideation process.
Subscribe to Weekly Wrap emails
Most read
- After Refinitiv deal, LSEG Labs builds machine-learning market impact tool
- Murky road ahead for consolidated tape plan administrator in the US
- SimCorp makes push into managed services
- Google aims AI at corporate actions challenges
- Bloomberg deploys math, not AI, to blend risk management and portfolio construction